Basel Buckets and Loan Losses: Absolute and Relative Loan Underperformance at Banks and Thrifts

摘要: We examine the distribution (across institutions and intertemporally) in charge-off delinquency rates for six categories of loans held by U.S. banks thrifts. The sample uses regulatory reporting data roughly 230,000 institution-years from 1984 to 1999 (comprising over 2 million items). find that Basel risk weights do not accurately track historical credit experience loan portfolios, suggesting some may be relatively overburdened current standards. Collateralized generally pose smallest risk. Commercial particular appear under-burdened weights, while mortgages are overburdened.